20) On May 23, 20XX, the existing or current (spot) one-year, two-year, three-year, and
four-year zero-coupon Treasury security rates were as follows:
1R1 = 4.55%, 1R2 = 4.75%, 1R3 = 5.25%, 1R4 = 5.95%
Using the unbiased expectations theory, calculate the one-year forward rates on
zero-coupon Treasury bonds for years two, three, and four as of May 23, 20XX.
A.Year 1: 4.95%; Year 2: 6.26%; Year 3: 8.08%
B.Year 1: 3.75%; Year 2: 6.02%; Year 3: 9.00%
C.Year 1: 4.95%; Year 2: 7.26%; Year 3: 8.08%
D.Year 1: 3.65%; Year 2: 6.32%; Year 3: 11.08%
21) You are considering an investment that is expected to pay 5% in year 1, 7% in years
2 and 3 and 9% in year 4 . If you invest $2,000 today, what will this investment be
worth at the end of the fourth year?
A.$2,501.42
B.$2,693.71
C.$2,713.04
D.$2,620.68
22) The Wall Street Journal reports that the rate on 3-year Treasury securities is 7.00%,
and the 6-year Treasury rate is 6.20%. From discussions with your broker, you have
determined that expected inflation premium is 2.25% next year, 2.50% in Year 2, and
2.50% in Year 3 and beyond. Further, you expect that real interest rates will be 4.4%
annually for the foreseeable future. Calculate the maturity risk premium on the 3-year
Treasury security.
A.0.00%
B.0.10%
C.4.50%
D.2.60%